When to use Azure Files?

(from Microsoft) You want to “lift and shift” an application to the cloud which already uses the native file system APIs to share data between it and other applications running in Azure. OR, You want to store development and debugging tools that need to be accessed from many virtual machines.

When to use Azure Blobs?

(from Microsoft) You want your application to support streaming and random access scenarios. OR, You want to be able to access application data from anywhere.

When to use Azure Disks?

(from Microsoft) You want to lift and shift applications that use native file system APIs to read and write data to persistent disks.

You want to store data that is not required to be accessed from outside the virtual machine to which the disk is attached.